Sounds like it is an SQL statement to create a database in MySQL and populate some tables.
Assuming MySQL is installed and started (read the manual if not), open up a dos prompt window. CD \mysql\bin
then type the following command
mysql -u root -p < phphelpdesk.mysql
You'll either have to copy phphelpdesk.mysql into the bin directory or specify the full path.
Typing MySQL on its on will take you into the console. Here, you can enter loads of commands or SQL statements. i.e.
show databases;
use dbname;
show tables;
Just look at the manual for more info.
type exit when you're done.
Good Luck
Jon